Correlation Between Mercer Smallmid and Pgim Jennison
Can any of the company-specific risk be diversified away by investing in both Mercer Smallmid and Pgim Jennison at the same time? Although using a correlation coefficient on its own may not help to predict future stock returns, this module helps to understand the diversifiable risk of combining Mercer Smallmid and Pgim Jennison into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Mercer Smallmid Cap and Pgim Jennison Diversified, you can compare the effects of market volatilities on Mercer Smallmid and Pgim Jennison and check how they will diversify away market risk if combined in the same portfolio for a given time horizon. You can also utilize pair trading strategies of matching a long position in Mercer Smallmid with a short position of Pgim Jennison. Check out your portfolio center. Please also check ongoing floating volatility patterns of Mercer Smallmid and Pgim Jennison.
Diversification Opportunities for Mercer Smallmid and Pgim Jennison
0.84 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Mercer and Pgim is 0.84. Overlapping area represents the amount of risk that can be diversified away by holding Mercer Smallmid Cap and Pgim Jennison Diversified in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Pgim Jennison Diversified and Mercer Smallmid is a relative statistical measure of the degree to which these equity instruments tend to move together. The correlation coefficient measures the extent to which returns on Mercer Smallmid Cap are associated (or correlated) with Pgim Jennison. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Pgim Jennison Diversified has no effect on the direction of Mercer Smallmid i.e., Mercer Smallmid and Pgim Jennison go up and down completely randomly.
Pair Corralation between Mercer Smallmid and Pgim Jennison
Assuming the 90 days horizon Mercer Smallmid Cap is expected to under-perform the Pgim Jennison. But the mutual fund apears to be less risky and, when comparing its historical volatility, Mercer Smallmid Cap is 1.48 times less risky than Pgim Jennison. The mutual fund trades about -0.27 of its potential returns per unit of risk. The Pgim Jennison Diversified is currently generating about -0.17 of returns per unit of risk over similar time horizon. If you would invest 1,908 in Pgim Jennison Diversified on February 1, 2024 and sell it today you would lose (100.00) from holding Pgim Jennison Diversified or give up 5.24% of portfolio value over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Strong |
Accuracy | 100.0% |
Values | Daily Returns |
Mercer Smallmid Cap vs. Pgim Jennison Diversified
Performance |
Timeline |
Mercer Smallmid Cap |
Pgim Jennison Diversified |
Mercer Smallmid and Pgim Jennison Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Mercer Smallmid and Pgim Jennison
The main advantage of trading using opposite Mercer Smallmid and Pgim Jennison positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Mercer Smallmid position performs unexpectedly, Pgim Jennison can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Pgim Jennison will offset losses from the drop in Pgim Jennison's long position.Mercer Smallmid vs. Vanguard Small Cap Index | Mercer Smallmid vs. Vanguard Small Cap Index | Mercer Smallmid vs. Vanguard Small Cap Index | Mercer Smallmid vs. Vanguard Small Cap Index |
Pgim Jennison vs. Growth Fund Investor | Pgim Jennison vs. Ultra Fund Investor | Pgim Jennison vs. Heritage Fund Investor | Pgim Jennison vs. International Growth Fund |
Check out your portfolio center.Note that this page's information should be used as a complementary analysis to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Sync Your Broker module to sync your existing holdings, watchlists, positions or portfolios from thousands of online brokerage services, banks, investment account aggregators and robo-advisors..
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